Bezirgen Veliyev : Citation Profile

Aarhus Universitet

6

H index

4

i10 index

128

Citations

RESEARCH PRODUCTION:

13

Articles

19

Papers

RESEARCH ACTIVITY:

   16 years (2010 - 2026). See details.
   Cites by year: 8
   Journals where Bezirgen Veliyev has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 8 (5.88 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve315
   Updated: 2026-02-21    RAS profile: 2026-02-16    
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Relations with other researchers

Works with:

Kock, Anders (4)

Christensen, Bent Jesper (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bezirgen Veliyev.

Is cited by:

Yu, Jun (6)

Shi, Shuping (3)

Pigato, Paolo (3)

Demirer, Riza (3)

Lyócsa, Štefan (2)

GUPTA, RANGAN (2)

Cepni, Oguzhan (2)

Medeiros, Marcelo (2)

Hansen, Erwin (2)

Kock, Anders (2)

Hautsch, Nikolaus (2)

Cites to:

Andersen, Torben (21)

Bollerslev, Tim (20)

Shephard, Neil (15)

Diebold, Francis (14)

Hansen, Peter (13)

Podolskij, Mark (13)

Newey, Whitney (12)

Lunde, Asger (12)

Meddahi, Nour (8)

Blundell, Richard (8)

Flachaire, Emmanuel (8)

Main data

Where Bezirgen Veliyev has published?

Journals with more than one article published# docs
Journal of Econometrics4
Stochastic Processes and their Applications2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org11

Recent works citing Bezirgen Veliyev (2026 and 2025)

YearTitle of citing document
2025Asymptotic Representations for Sequential Decisions, Adaptive Experiments, and Batched Bandits. (2025). Hirano, Keisuke ; Porter, Jack R. In: Papers. RePEc:arx:papers:2302.03117.

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2025Rough volatility, path-dependent PDEs and weak rates of convergence. (2025). Bonesini, Ofelia ; Jacquier, Antoine ; Pannier, Alexandre. In: Papers. RePEc:arx:papers:2304.03042.

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2025Path-dependent PDEs for volatility derivatives. (2024). Pannier, Alexandre. In: Papers. RePEc:arx:papers:2311.08289.

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2025Regularizing Discrimination in Optimal Policy Learning with Distributional Targets. (2024). Kock, Anders ; Preinerstorfer, David. In: Papers. RePEc:arx:papers:2401.17909.

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2026Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility. (2024). Christensen, Peter ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2403.12653.

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2025A Primer on the Analysis of Randomized Experiments and a Survey of some Recent Advances. (2025). Tabord-Meehan, Max ; Shaikh, Azeem ; Bai, Yuehao. In: Papers. RePEc:arx:papers:2405.03910.

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2026A nonparametric test for diurnal variation in spot correlation processes. (2024). Liu, Zhi ; Hounyo, Ulrich ; Christensen, Kim. In: Papers. RePEc:arx:papers:2408.02757.

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2025Time-Series Foundation Model for Value-at-Risk Forecasting. (2025). Kanniainen, Juho ; Pasricha, Puneet ; Goel, Anubha. In: Papers. RePEc:arx:papers:2410.11773.

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2024Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136.

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2025Multivariate Rough Volatility. (2024). Pigato, Paolo ; Giorgio, Giacomo ; Dugo, Ranieri. In: Papers. RePEc:arx:papers:2412.14353.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models. (2025). Schied, Alexander ; Han, Xiyue. In: Papers. RePEc:arx:papers:2504.09276.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2025Empirical Models of the Time Evolution of SPX Option Prices. (2025). Hsieh, David A ; Brini, Alessio ; Kuiper, Patrick ; Moushegian, Sean ; Ye, David. In: Papers. RePEc:arx:papers:2506.17511.

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2025Fusing Narrative Semantics for Financial Volatility Forecasting. (2025). Zohren, Stefan ; Vryonides, Chris ; Kaiser, Marcus ; Hwang, Yoontae ; Kong, Yaxuan ; Oomen, Roel. In: Papers. RePEc:arx:papers:2510.20699.

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2025Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data. (2025). Yu, Jun ; Xiao, Weilin ; Zhang, Chen ; Wang, Xiaohu. In: Working Papers. RePEc:boa:wpaper:202527.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528.

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2026Revisiting exchange rate predictability: Does machine learning help?. (2026). Guldi, Melanie ; Aysun, Uluc. In: Working Papers. RePEc:cfl:wpaper:2026-01ua.

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2024An unbounded intensity model for point processes. (2024). Kolokolov, Aleksey ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001854.

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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2025Examining the nexus between exporting status and CO2 productivity in Indonesian agri-based manufacturing. (2025). Luckstead, Jeff ; Mandasari, Putriesti. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000386.

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2025Forecasting Chinas precious metal futures volatility: GBRT models and time-model dimension combination of Tree SHAP. (2025). Feng, Lingbing ; Huang, Dasen ; Wang, Xinyi ; Zheng, Yuhao ; Zhu, Ziyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925003369.

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2025A novel HAR-type realized volatility forecasting model using graph neural network. (2025). Yin, Xuebao ; Yao, Yuhang ; Hu, Nan. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008135.

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2025Predicting volatility in Chinas clean energy sector: Advantages of the carbon transition risk. (2025). Chen, Zhu ; Luo, Qin. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015630.

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2025Climate risk and predictability of global stock market volatility. (2025). Ma, Yong ; Zhou, Mingtao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000253.

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2025SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111.

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2025How does managerial perception of uncertainty affect corporate investment during the COVID-19 pandemic: A text mining approach. (2025). Kimura, Yosuke ; Chen, Ying ; Inoue, Kotaro. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24004074.

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2025How do Chinese urban investment bonds affect its economic resilience? Evidence from double machine learning. (2025). Lucey, Brian ; Abedin, Mohammad Zoynul ; Fang, Yan ; Liu, Yinglin ; Yang, YI. In: Research in International Business and Finance. RePEc:eee:riibaf:v:74:y:2025:i:c:s027553192400521x.

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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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2025Linear and nonlinear econometric models against machine learning models: realized volatility prediction. (2025). Kili, Rehim. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-61.

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2025Predicting the Canadian Yield Curve Using Machine Learning Techniques. (2025). Naderi, Hosein ; Rayeni, Ali. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:3:p:170-:d:1745876.

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2025Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect. (2025). Liu, Guangying ; Lin, Jinguan ; Mao, Yizhi ; Hao, Hongxia. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1506-:d:1648583.

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2025Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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2025Limit Theorems for $$\sigma $$ σ -Localized Émery Convergence. (2025). Melnikov, Vasily. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:38:y:2025:i:1:d:10.1007_s10959-024-01388-4.

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2025Estimation and specification test for diffusion models with stochastic volatility. (2025). Gonzlez-Manteiga, W ; Febrero-Bande, M ; Lpez-Prez, A. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01652-z.

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2025Forecasting the Volatility of US Oil and Gas Firms With Machine Learning. (2025). Hansen, Erwin ; Cabrera, Gabriel ; Daz, Juan D. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1383-1402.

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Works by Bezirgen Veliyev:

YearTitleTypeCited
2015Validity of Edgeworth expansions for realized volatility estimators In: CREATES Research Papers.
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2016Validity of Edgeworth expansions for realized volatility estimators.(2016) In: Econometrics Journal.
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This paper has nother version. Agregated cites: 4		article
2015Inference from high-frequency data: A subsampling approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper10
2026Inference from high-frequency data: A subsampling approach.(2026) In: Papers.
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This paper has nother version. Agregated cites: 10		paper
2017Inference from high-frequency data: A subsampling approach.(2017) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 10		article
2015Edgeworth expansion for the pre-averaging estimator In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2015Edgeworth expansion for the pre-averaging estimator.(2015) In: Papers.
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This paper has nother version. Agregated cites: 6		paper
2017Edgeworth expansion for the pre-averaging estimator.(2017) In: Stochastic Processes and their Applications.
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This paper has nother version. Agregated cites: 6		article
2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2019The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing.(2019) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 6		article
2018Edgeworth expansion for Euler approximation of continuous diffusion processes In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2021A machine learning approach to volatility forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]		paper40
2026A machine learning approach to volatility forecasting.(2026) In: Papers.
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This paper has nother version. Agregated cites: 40		paper
2023A Machine Learning Approach to Volatility Forecasting*.(2023) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 40		article
2021The incremental information in the yield curve about future interest rate risk In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2023The incremental information in the yield curve about future interest rate risk.(2023) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 0		article
2010A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage In: Papers.
[Full Text][Citation analysis]		paper7
2012Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process In: Papers.
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2014UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS.(2014) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 0		article
2020Functional Sequential Treatment Allocation In: Papers.
[Full Text][Citation analysis]		paper10
2022Functional Sequential Treatment Allocation.(2022) In: Journal of the American Statistical Association.
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This paper has nother version. Agregated cites: 10		article
2020Functional Sequential Treatment Allocation with Covariates In: Papers.
[Full Text][Citation analysis]		paper3
2024FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES.(2024) In: Econometric Theory.
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This paper has nother version. Agregated cites: 3		article
2022Treatment recommendation with distributional targets In: Papers.
[Full Text][Citation analysis]		paper3
2023Treatment recommendation with distributional targets.(2023) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 3		article
2026A GMM approach to estimate the roughness of stochastic volatility In: Papers.
[Full Text][Citation analysis]		paper27
2023A GMM approach to estimate the roughness of stochastic volatility.(2023) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 27		article
2024Treatment Evaluation at the Intensive and Extensive Margins In: Papers.
[Full Text][Citation analysis]		paper0
2026Warp speed price moves: Jumps after earnings announcements In: Papers.
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2025Warp speed price moves: Jumps after earnings announcements.(2025) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 0		article
2012A short proof of the Doob–Meyer theorem In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article6

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